publication . Article . Book . 2006

Pricing general insurance with constraints

Emms, P.;
Open Access
  • Published: 01 Jan 2006 Journal: Insurance: Mathematics and Economics, volume 40, pages 335-355 (issn: 0167-6687, Copyright policy)
  • Publisher: Elsevier BV
  • Country: United Kingdom
Abstract
Deterministic control theory is used to find the optimal premium strategy for an insurer in order to maximise a given objective. The optimal strategy can be loss-leading depending on the model parameters, which may result in negative premium values. In such circumstances, it is optimal to capture as much of the market as possible before making a profit towards the end of the time horizon. In reality, the amount by which an insurer can lower premiums is constrained by borrowing restrictions and the risk inherent in building up a large exposure. Consequently, the effect of constraining the pricing problem is analysed with two forms of constraint: a bounded premium...
Subjects
free text keywords: Statistics, Probability and Uncertainty, Economics and Econometrics, Statistics and Probability, Nonlinear programming, Time horizon, Bounded function, General insurance, Upper and lower bounds, Mathematical optimization, Smoothness, Financial economics, Parameter space, Economics, Solvency, HG

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publication . Article . Book . 2006

Pricing general insurance with constraints

Emms, P.;